Essays in Econometrics 2 Volume Paperback Set: Collected Papers of Clive W. J. Granger,9780521796972

Essays in Econometrics 2 Volume Paperback Set: Collected Papers of Clive W. J. Granger

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ISBN13: 9780521796972
ISBN10: 0521796970
Format: Package
Pub. Date: 2001-07-23
Publisher(s): Cambridge University Press
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Summary

Vol. I: This book, and its companion volume, present a collection of papers by Clive W.J. Granger. His contributions to economics and econometrics, many of them seminal, span more than four decades and touch on all aspects of time series analysis. The papers assembled in this volume explore topics in spectral analysis, seasonality, nonlinearity, methodology, and forecasting. Those in the companion volume investigate themes in causality, integration and cointegration, and long memory. The two volumes contain the original articles as well as an introduction written by the editors. Vol. II: This book, and its companion volume in the Econometric Society Monographs series (ESM number 32), present a collection of papers by Clive W.J. Granger. His contributions to economics and econometrics, many of them seminal, span more than four decades and touch on all aspects of time series analysis. The papers assembled in this volume explore topics in causality, integration and cointegration, and long memory. Those in the companion volume investigate themes in causality, integration and cointegration, and long memory. The two volumes contain the original articles as well as an introduction written by the editors.

Table of Contents

Acknowledgments xiii
List of Contributors
xvii
Introduction 1(27)
Eric Ghysels
Norman R. Swanson
Mark Watson
The ET Interview: Professor Clive Granger
28(57)
Peter C. B. Phillips
PART ONE: SPECTRAL ANALYSIS
Spectral Analysis of New York Stock Market Prices
85(21)
C. W. J. Granger
O. Morgenstern
The Typical Spectral Shape of an Economic Variable
106(15)
C. W. J. Granger
PART TWO: SEASONALITY
Seasonality: Causation, Interpretation and Implications
121(26)
C. W. J. Granger
A. Zellner
Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process?
147(30)
E. Ghysels
C. W. J. Granger
P. L. Siklos
PART THREE: NONLINEARITY
Non-Linear Time Series Modeling
177(11)
C. W. J. Granger
A. Andersen
David F. Findley
Using the Correlation Exponent to Decide Whether an Economic Series is Chaotic
188(20)
T. Lui
C. W. J. Granger
W. P. Heller
M. H. Pesaran
S. M. Potter
J. Willey
Testing for Neglected Nonlinearity in Time Series Models: A Comparison of Neural Network Methods and Alternative Tests
208(22)
T.-H. Lee
H. White
C. W. J. Granger
Modeling Nonlinear Relationships Between Extended-Memory Variables
230(17)
C. W. J. Granger
Semiparametric Estimates of the Relation Between Weather and Electricity Sales
247(26)
R. F. Engle
C. W. J. Granger
J. Rice
A. Weiss
PART FOUR: METHODOLOGY
Time Series Modeling and Interpretation
273(16)
C. W. J. Granger
M. J. Morris
On the Invertibility of Time Series Models
289(7)
C. W. J. Granger
A. Andersen
Near Normality and Some Econometric Models
296(6)
C. W. J. Granger
The Time Series Approach to Econometric Model Building
302(15)
C. W. J. Granger
P. Newbold
Comments on the Evaluation of Policy Models
317(19)
C. W. J. Granger
M. Deutsch
Implications of Aggregation with Common Factors
336(19)
C. W. J. Granger
PART FIVE: FORECASTING
Estimating the Probability of Flooding on a Tidal River
355(11)
C. W. J. Granger
Prediction with a Generalized Cost of Error Function
366(9)
C. W. J. Granger
Some Comments on the Evaluation of Economic Forecasts
375(16)
C. W. J. Granger
P. Newbold
The Combination of Forecasts
391(20)
J. M. Bates
C. W. J. Granger
Invited Review: Combining Forecasts - Twenty Years Later
411(9)
C. W. J. Granger
The Combination of Forecasts Using Changing Weights
420(16)
M. Deutsch
C. W. J. Granger
T. Terasvirta
Forecasting Transformed Series
436(21)
C. W. J. Granger
P. Newbold
Forecasting White Noise
457(15)
C. W. J. Granger
A. Zellner
Can We Improve the Perceived Quality of Economic Forecasts?
472(25)
C. W. J. Granger
Short-Run Forecasts of Electricity Loads and Peaks
497(20)
R. Ramanathan
R. F. Engle
C. W. J. Granger
A. Vahid-Araghi
C. Brace
Index 517
Acknowledgments xiii
List of Contributors
xvii
Introduction 1(30)
Eric Ghysels
Norman R. Swanson
Mark Watson
PART ONE: CAUSALITY
Investigating Causal Relations by Econometric Models and Cross-Spectral Methods
31(17)
C. W. J. Granger
J. Sargent
R. Lucas
Testing for Causality: A Personal Viewpoint
48(23)
C. W. J. Granger
Some Recent Developments in a Concept of Causality
71(13)
C. W. J. Granger
Advertising and Aggregate Consumption: An Analysis of Causality
84(25)
R. Ashley
C. W. J. Granger
R. Schmalensee
PART TWO: INTEGRATION AND COINTEGRATION
Spurious Regression in Econometrics
109(10)
C. W. J. Granger
P. Newbold
Some Properties of Time Series Data and Their Use in Econometric Model Specification
119(10)
C. W. J. Granger
Time Series Analysis of Error Correction Models
129(16)
C. W. J. Granger
A. A. Weiss
S. Karlin
T. Amemiya
L. A. Goodman
Co-Integration and Error-Correction: Representation, Estimation, and Testing
145(28)
R. Engle
C. W. J. Granger
Developments in the Study of Cointegrated Economic Variables
173(16)
C. W. J. Granger
Seasonal Integration and Cointegration
189(23)
S. Hylleberg
R. F. Engle
C. W. J. Granger
B. S. Yoo
A Cointegration Analysis of Treasury Bill Yields
212(20)
A. D. Hall
H. M. Anderson
C. W. J. Granger
Estimation of Common Long Memory Components in Cointegrated Systems
232(22)
J. Gonzalo
C. W. J. Granger
Separation in Cointegrated Systems and Persistent-Transitory Decompositions
254(15)
C. W. J. Granger
N. Haldrup
Nonlinear Transformations of Integrated Time Series
269(17)
C. W. J. Granger
J. Hallman
Long Memory Series with Attractors
286(16)
C. W. J. Granger
J. Hallman
Further Developments in the Study of Cointegrated Variables
302(19)
C. W. J. Granger
N. R. Swanson
PART THREE: LONG MEMORY
An Introduction to Long-Memory Time Series Models and Fractional Differencing
321(17)
C. W. J. Granger
R. Joyeux
Long Memory Relationships and the Aggregation of Dynamic Models
338(11)
C. W. J. Granger
A Long Memory Property of Stock Market Returns and a New Model
349(24)
Z. Ding
C. W. J. Granger
R. E. Engle
Index 373

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